Is There Hedge Fund Contagion?

We examine whether hedge funds experience contagion. First, we consider whether extreme movements in equity, fixed income, and currency markets are contagious to hedge funds. Second, we investigate whether extreme adverse returns in one hedge fund style are contagious to other hedge fund styles. To conduct this examination, we estimate binomial and multinomial logit models of contagion using daily returns on hedge fund style indices as well as monthly returns on indices with a longer history. Our main finding is that there is no evidence of contagion from equity, fixed income, and foreign exchange markets to hedge funds, except for weak evidence of contagion for one single daily hedge fund style index. By contrast, we find strong evidence of contagion across hedge fund styles, so that hedge fund styles tend to have poor coincident returns.

The resilience of indigenous knowledge in small-scale African agriculture: key drivers

The successful use of indigenous knowledge (IK) in development practice in rural Africa over the last couple of decades has proved to be elusive and disappointing. Using empirical field data from northern Malawi, this study suggests that the two key drivers for farmers in this area are household food security and the maintenance of soil fertility. Indigenous ways of knowing underpin the agricultural system which has been developed, rather than the adoption of more modern, ‘scientific’ ways, to deliver against these drivers. Such IKs, however, are deeply embedded in the economic, social and cultural environments in which they operate

Activism mergers

Shareholder value creation from hedge fund activism occurs primarily by influencing takeover outcomes for targeted firms. Controlling for selection decisions, activist interventions substantially increase the probability of a takeover offer. Third-party bids for targets have higher returns, premia, and completion rates, but these patterns reverse when the activist is the bidder. Failed bids for activism targets lead to improvements in operating performance, financial policy, and positive long-term abnormal returns, suggesting that activism enhances value. The positive long-term performance from hedge fund activism arises from monitoring target management during merger and acquisition contests and not from target undervaluation or bidder overpayment

The effect of age on interhemispheric transfer time: an event related potential study

The present study sought to investigate the effects of aging on interhemispheric transfer time (IHTT). Poffenberger (1912) devised a behavioural paradigm thought to be a measure of IHTT. In this paradigm IHTT is estimated by calculating the crossed-uncrossed difference (CUD); the difference in speed of response between responses made in response to stimuli contralateral to responding hand (crossed) and those made by hands ipsilateral to the stimuli (uncrossed). IHTT can also be estimated through event related potentials (ERPs) by calculating latency differences between the waveforms over the ipsilateral and contralateral hemispheres. Results from previous experiments comparing younger and older participants with these two methods are inconsistent. Twenty three younger (18-25 years) and 23 older (65-77 years) participants had their electroencephalogram (EEG) recorded whilst completing the Poffenberger paradigm. IHTT estimates from the two measures were compared between the groups. Older participants were found to have a faster IHTT estimate from the P1 ERP component compared to younger participants. This result is in contrast to the current literature. Replication of this result is recommended before firm conclusions about its implications can be made

Design of sustainable outsourcing services for facilities management : critical success factors

The management problems of Facilities Management (FM) outsourcing relationships occur because of provision of low quality analytical, managerial, cooperative, and professional services. On selection, the ideal service providers for specific FM outsourcing contractual procurement needs is of paramount importance to achieve high quality FM services. This paper aims at reviewing the concept of outsourcing in relation to facilities management and dealing with the importance of outsourcing success. Factors of outsourcing strategies from the perspectives of clients and service providers are examined and analysed through the Delphi technique in Hong Kong. The results reveal four main drivers of FM practice through evaluation of thirty-five outsourcing critical success factors identified by clients and service providers. Evaluation of the critical success factors from FM drivers shows that there is an inclination towards FM competence, measurement of performance, cost effectiveness, etc. from clients, whilst there is an inclination to the core skills, measurement of performance, allocation of human resources, cost effectiveness, customers’ satisfaction, etc. from service providers. The result of the study reveals an interesting understanding that the impact of outsourcing critical success factors can be strategically implemented into the outsourcing strategies in Hong Kong’s FM practice

Offline estimation of decay time for an optical cavity with a low pass filter cavity model

This Letter presents offline estimation results for the decay-time constant for an experimental Fabry–Perot optical cavity for cavity ring-down spectroscopy (CRDS). The cavity dynamics are modeled in terms of a low pass filter (LPF) with unity DC gain. This model is used by an extended Kalman filter (EKF) along with the recorded light intensity at the output of the cavity in order to estimate the decay-time constant. The estimation results using the LPF cavity model are compared to those obtained using the quadrature model for the cavity presented in previous work by Kallapur et al. The estimation process derived using the LPF model comprises two states as opposed to three states in the quadrature model. When considering the EKF, this means propagating two states and a (2x2) covariance matrix using the LPF model, as opposed to propagating three states and a (3×3) covariance matrix using the quadrature model. This gives the former model a computational advantage over the latter and leads to faster execution times for the corresponding EKF. It is shown in this Letter that the LPF model for the cavity with two filter states is computationally more efficient, converges faster, and is hence a more suitable method than the three-state quadrature model presented in previous work for real-time estimation of the decay-time constant for the cavity

Hedge Fund Contagion and Liquidity

Using hedge fund indices representing eight different styles, we find strong evidence of contagion within the hedge fund sector: controlling for a number of risk factors, the average probability that a hedge fund style index has extreme poor performance (lower 10% tail) increases from 2% to 21% as the number of other hedge fund style indices with extreme poor performance increases from zero to seven. We investigate how changes in funding and asset liquidity intensify this contagion, and find that the likelihood of contagion is high when prime brokerage firms have poor performance (which would be expected to affect hedge fund funding liquidity adversely) and when stock market liquidity (a proxy for asset liquidity) is low. Finally, we examine whether extreme poor performance in the stock, bond, and currency markets is more likely when contagion in the hedge fund sector is high. We find no evidence that contagion in the hedge fund sector is associated with extreme poor performance in the stock and bond markets, but find significant evidence that performance in the currency market is worse when hedge fund contagion is high, consistent with the effects of an unwinding of carry trades.

Malawi stories: mapping an art-science collaborative process

This paper outlines a project drawing together an artist working on creative GIS, a geomatics scholar, an NGO leader, a rural geographer and soil scientist, an environmental geochemist, and a political geographer. With a shared interest in the social and physical processes affecting people’s lives in Malawi, and the possibilities for interdisciplinary collaboration, the team engaged in practice-based mapping of our data sources and respective methodologies. The project relates to two sites in Malawi: Tikondwe Freedom Gardens and the Likangala River. The paper details our practices as we shared, debated, and repurposed our data as a means of situating these practices and data. Using paper and pen, whiteboard, PowerPoint, and web-design software, we note here our effort to map a ‘space of experimentation’ highlighting, and reflecting on, our diverse disciplinary orientations, training, instrumentation, recording, and reporting procedures, as well as bodily practices that enable and give animation to these factors